DYNAMICS OF SINGAPORE INVESTMENT MARKETS

Abstract

This study comprehensively reviews the dynamics and co-movements of the investment markets in Singapore (Residential, Office, Industrial, Retail, Property Stocks and Equities). The study conducts a market review, investment performance and market linkage analysis. From the market review, the 6 markets follow a similar general trend, implying being influenced by common economic fundamentals. There is evidence to suggest that Property Stocks and Equities leads the others since the Asian Financial Crisis The investment performance analysis identified the Residential market giving the highest return. Additionally, direct property markets are consistently lower in risk. Employing Dynamic Conditional Correlation (DCC) analysis, the markets are shown to be all positive correlated on average, albeit weakly. However, during crises such as the Asian Financial Crisis and Global Financial Crisis the DCC values generally increase and possible contagion effects can be seen. Using Linear Granger Causality analysis, there are more instances of granger causality amongst direct property markets, whilst less so between direct property markets and Property Stocks, and between direct property markets and Equities. Additionally, the Residential market granger causes every direct property market. Employing Generalised Impulse Response Function analysis, it is evident that direct property markets take roughly twice as long as compared to Property Stocks and Equities, for responses to impulses to dissipate. Impulses from the Residential market consistently creates significant responses in the others, while Retail and Industrial creates weak responses. Also, impulses from Property Stocks and Equities would create responses in direct property markets which increases for a period before dissipating.